A pricing and performance study on auto-callable structured products
Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
We propose an algorithm to price and analyze the performance of auto-callable structured _nancial products. The algorithm contains Monte-Carlo simulations in order to reproduce, as probable as possible, a future product. This model is then compared to other, previously presented models. The di_erent in-data parameters together with a time dependency study is then performed to evaluate what one might expect when investing in these products. Numerical results conclude that, the risks taken by the investor closely reect the potential return for each product. When constructing these products for the near future, one must closely evaluate the demand from the investors i.e. evaluate the level of risk that the investors are willing to take.
Place, publisher, year, edition, pages
2012. , 63 p.
Trita-MAT, ISSN 1401-2286 ; 15
Structured products, Auto-callable products, Monte-Carlo
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-102701OAI: oai:DiVA.org:kth-102701DiVA: diva2:555900
Master of Science in Engineering - Vehicle Engineering
UppsokPhysics, Chemistry, Mathematics
Lapeyre, Bernard, Professor
Djehiche, Boualem, Professor